In many cases, accounts are hacked (Blizzard likes to call them 'compromised') because people simply don't use good browsing habits. They click on links that install keylogging software onto their computer without their knowledge, or they download and install corrupted add-ons for the game. Many people also have poor passwords.
Using your pet's name or your middle name as a password is begging to get hacked. Using dictionary words as a password is begging to get hacked. In a WoW account, the most important piece of information your have is your account name and password. Don't use your name, don't use something simple.
The best thing to do is to use a random string of letters and numbers. You can also include certain special characters, although Blizzard limits the characters that are available for usage in a password. WoW passwords are also NOT case-specific, so capital letters are not necessary.
To wit:
'hclw1u45e' is a good password, 'shawnsines' is not.